public virtual void test_relativeTime()
{
double test1 = VOLS.relativeTime(VAL_DATE_TIME);
assertEquals(test1, 0d);
double test2 = VOLS.relativeTime(date(2018, 2, 17).atStartOfDay(LONDON_ZONE));
double test3 = VOLS.relativeTime(date(2012, 2, 17).atStartOfDay(LONDON_ZONE));
assertEquals(test2, -test3); // consistency checked
}
//-------------------------------------------------------------------------
public virtual void present_value_formula()
{
double forward = PRICER_SWAP.parRate(RSWAP_REC, MULTI_USD);
double pvbp = PRICER_SWAP.LegPricer.pvbp(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), MULTI_USD);
double volatility = BLACK_VOLS_USD_STD.volatility(SWAPTION_LONG_REC.Expiry, SWAP_TENOR_YEAR, STRIKE, forward);
double expiry = BLACK_VOLS_USD_STD.relativeTime(SWAPTION_LONG_REC.Expiry);
double pvExpected = Math.Abs(pvbp) * BlackFormulaRepository.price(forward, STRIKE, expiry, volatility, false);
CurrencyAmount pvComputed = PRICER_SWAPTION_BLACK.presentValue(SWAPTION_LONG_REC, MULTI_USD, BLACK_VOLS_USD_STD);
assertEquals(pvComputed.Currency, USD);
assertEquals(pvComputed.Amount, pvExpected, TOLERANCE_PV);
}
//-------------------------------------------------------------------------
public virtual void present_value_sensitivityBlackVolatility_FD()
{
double shiftVol = 1.0E-4;
Surface surfaceUp = ConstantSurface.of(SwaptionBlackVolatilityDataSets.META_DATA, SwaptionBlackVolatilityDataSets.VOLATILITY + shiftVol);
Surface surfaceDw = ConstantSurface.of(SwaptionBlackVolatilityDataSets.META_DATA, SwaptionBlackVolatilityDataSets.VOLATILITY - shiftVol);
CurrencyAmount pvP = PRICER_SWAPTION_BLACK.presentValue(SWAPTION_LONG_PAY, MULTI_USD, BlackSwaptionExpiryTenorVolatilities.of(BLACK_VOLS_CST_USD.Convention, VAL_DATE.atStartOfDay(ZoneOffset.UTC), surfaceUp));
CurrencyAmount pvM = PRICER_SWAPTION_BLACK.presentValue(SWAPTION_LONG_PAY, MULTI_USD, BlackSwaptionExpiryTenorVolatilities.of(BLACK_VOLS_CST_USD.Convention, VAL_DATE.atStartOfDay(ZoneOffset.UTC), surfaceDw));
double pvnvsFd = (pvP.Amount - pvM.Amount) / (2 * shiftVol);
SwaptionSensitivity pvnvsAd = PRICER_SWAPTION_BLACK.presentValueSensitivityModelParamsVolatility(SWAPTION_LONG_PAY, MULTI_USD, BLACK_VOLS_CST_USD);
assertEquals(pvnvsAd.Currency, USD);
assertEquals(pvnvsAd.Sensitivity, pvnvsFd, TOLERANCE_PV_VEGA);
assertEquals(pvnvsAd.VolatilitiesName, BLACK_VOLS_CST_USD.Name);
assertEquals(pvnvsAd.Expiry, BLACK_VOLS_CST_USD.relativeTime(SWAPTION_LONG_PAY.Expiry));
assertEquals(pvnvsAd.Tenor, SWAP_TENOR_YEAR, TOLERANCE_RATE);
assertEquals(pvnvsAd.Strike, STRIKE, TOLERANCE_RATE);
double forward = PRICER_SWAP.parRate(RSWAP_REC, MULTI_USD);
assertEquals(pvnvsAd.Forward, forward, TOLERANCE_RATE);
}
public virtual void test_presentValue()
{
CurrencyAmount computedRec = PRICER.presentValue(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
CurrencyAmount computedPay = PRICER.presentValue(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
double forward = SWAP_PRICER.parRate(RSWAP_REC, RATE_PROVIDER);
double annuityCash = SWAP_PRICER.LegPricer.annuityCash(RFIXED_LEG_REC, forward);
double expiry = VOLS.relativeTime(SWAPTION_REC_LONG.Expiry);
double tenor = VOLS.tenor(SETTLE, END);
double volatility = SURFACE.zValue(expiry, tenor);
double settle = ACT_ACT_ISDA.relativeYearFraction(VAL_DATE, SETTLE);
double df = Math.Exp(-DSC_CURVE.yValue(settle) * settle);
double expectedRec = df * annuityCash * BlackFormulaRepository.price(forward, RATE, expiry, volatility, false);
double expectedPay = -df *annuityCash *BlackFormulaRepository.price(forward, RATE, expiry, volatility, true);
assertEquals(computedRec.Currency, EUR);
assertEquals(computedRec.Amount, expectedRec, NOTIONAL * TOL);
assertEquals(computedPay.Currency, EUR);
assertEquals(computedPay.Amount, expectedPay, NOTIONAL * TOL);
}
